Parameterisation and efficient MCMC estimation of non-Gaussian state space models

DOI10.1016/j.csda.2007.10.010zbMath1452.62680OpenAlexW2064785995MaRDI QIDQ1023621

Chris M. Strickland, Gael M. Martin, Catherine S. Forbes

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.010

zbMATH Keywords

Bayesian estimationstochastic volatility modelinefficiency factornon-centred parameterisationsstochastic conditional duration model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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Uses Software

• Gibbsit

Cites Work

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